Is there any particular order that the windows critical updates and similar files from the online catalog need to be installed? Or can you just put them in any old way?

If you browse to the 98SE updates and fixes on mdgx.com, he lists them from the bottom up oldest to newest. (Newest on top.) In seperate sections, he has the Internet Explorer, 98SE add-on's, Direct X, and WMP updates also listed that way.

His site is a great way to do your reading so you'll know what each update does. If you print them all out, or download his packages that have them in txt form, you'll have the handy guide right in front of you while you update.